خلاصة:
Crude oil Prices, exchange rates and the price of gold are used as macroeconomic factors
could affect stock exchange market if changes in these variables could cause fluctuation in
stock exchange Price index and in turn increase the risk of activity in the markets.
Considering the importance of these variables, the impact of global crude oil prices, exchange
rates and the price of gold coins on the Tehran stock exchange price index return volatility is
surveyed. Stationary adjusted dickey fuller test is first generalized. Descriptive statistics are
presented, and then TEPIX index returns are modeled. Results indicate that there was
heterogeneity in variance, so the use of the model the GARCH is possible. After modeling
returns volatility in the market price and Diagnostic tests that showed the model fitness, it was
clarified that the changes in the price of crude oil, significantly cause volatility returns in
stock exchange market.But results showed that changes in the price of gold coin and exchange
rate has no significant effect on the Tehran Stock Exchange. It makes sense that the stock of a
single item in a country such as Iran with a heavy reliance on crude oil price, are being
affected by the changes. This means that in addition to the probable effects of crude oil price,
any changes in the price can also cause volatility and uncertainty in the Tehran Stock
Exchange.
ملخص الجهاز:
"Having paid attention to the specific conditions of each country, the present study, however, considers the variables of exchange rate, the crude oil prices and the price of Bahar-Azadi gold coins as potential variables whose changes may result in creating or continuing vagrancy in the index of the Tehran Stock Exchange Price Index.
In the same vein, the impact of the influences coming from the variables of exchange rate, the crude oil pricesand the price of gold on the fluctuations in Tehran Stock Exchange Price Index are looked into, having in mind the monthly data gathered from 1368: 01 to 1390:12 using one-variable models of garch.
The impact of changes in variables of rate of exchange and the price of gold on the fluctuations of the Tehran stock market index from 1368:01 to 1390:12 by means ofunivariate models of conditional generalized heterogeneous variance are evaluated in the present study.
Considering the changes in variables of exchange rate return in open market, global price return of crude oil, and price return of Bahare Azadi gold coin, we take the conditional heteroscedastic variance model as the independent variable in equation.
In this research after using the generalized Dickey Fuller consistence test, and introducing the descriptive parameters, in order to study the influence of changes in the variables of crude oil global price, exchange rate, and the price of BahareAzadi gold coin on fluctuations in return of Tehran Stock Market price index, the return of Tehran Stock Market Index has been modeled."